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Mutual Funds, Hedge Funds, & Investment Industry eJournal
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1.
A Quantitative Approach to Tactical Asset Allocation
The Journal of Wealth Management, Spring 2007
Number of pages: 70
Posted: 11 Feb 2007
Last Revised: 03 Mar 2014
Accepted Paper Series
Meb Faber
Cambria Investment Management
Downloads 245,348
2.
Relative Strength Strategies for Investing
Number of pages: 22
Posted: 06 Apr 2010
Last Revised: 20 Apr 2010
Working Paper Series
Meb Faber
Cambria Investment Management
Downloads 72,298
3.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361
Posted: 13 Sep 2018
Last Revised: 16 Sep 2019
Accepted Paper Series
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 56,579
4.
101 Formulaic Alphas
Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22
Posted: 10 Dec 2015
Last Revised: 29 Jul 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 38,694
5.
Fact, Fiction and Momentum Investing
Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26
Posted: 12 May 2014
Last Revised: 03 Oct 2014
Working Paper Series
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 31,945
6.
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Accepted Paper Series
Martijn Cremers and Antti Petajisto
University of Notre Dame and New York University (NYU) - Department of Finance
There are 2 versions of this paper
Downloads 28,183
7.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Cullen O. Roche
Orcam Financial Group
Downloads 25,037
8.
Luck Versus Skill in the Cross Section of Mutual Fund Returns
Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43
Posted: 10 Mar 2009
Last Revised: 08 Feb 2010
Accepted Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 24,260
9.
Day Trading for a Living?
Number of pages: 9
Posted: 22 Jul 2019
Last Revised: 15 Jun 2020
Working Paper Series
Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 22,203
10.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 20,651
11.
An Inconvenient Fact: Private Equity Returns & The Billionaire Factory
University of Oxford, Said Business School, Working Paper
Number of pages: 37
Posted: 15 Jun 2020
Last Revised: 15 Jul 2020
Working Paper Series
Ludovic Phalippou
University of Oxford - Said Business School
Downloads 19,550
12.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059​.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 18,379
13.
Aggregate Confusion: The Divergence of ESG Ratings
Number of pages: 64
Posted: 20 Aug 2019
Last Revised: 18 May 2020
Working Paper Series
Florian Berg, Julian F Kölbel and Roberto Rigobon
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Zurich, Department of Banking and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 18,273
14.
Squaring Venture Capital Valuations with Reality
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 57
Posted: 22 Apr 2017
Last Revised: 10 Dec 2019
Accepted Paper Series
Will Gornall and Ilya A. Strebulaev
University of British Columbia (UBC) - Sauder School of Business and Stanford University - Graduate School of Business
There are 2 versions of this paper
Downloads 18,259
15.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
Andrew Ang
BlackRock, Inc
Downloads 17,842
16.
Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Number of pages: 51
Posted: 26 Sep 2005
Last Revised: 05 May 2008
Working Paper Series
Gerald S. Martin and John Puthenpurackal
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 17,422
17.
Corporate Sustainability: First Evidence on Materiality
The Accounting Review, Vol. 91, No. 6, pp. 1697-1724.
Number of pages: 55
Posted: 11 Mar 2015
Last Revised: 01 Feb 2017
Accepted Paper Series
Mozaffar Khan, George Serafeim and Aaron Yoon
Causeway Capital Management, LLC, Harvard Business School and Northwestern University - Department of Accounting Information & Management
Downloads 17,080
18.
Size Matters, If You Control Your Junk
Fama-Miller Working Paper
Number of pages: 59
Posted: 23 Jan 2015
Last Revised: 16 Apr 2015
Working Paper Series
Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Downloads 16,891
19.
Mean-Reversion and Optimization
Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41
Posted: 11 Aug 2014
Last Revised: 15 Feb 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 16,417
20.
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Working Paper Series
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
Downloads 15,560
21.
How Do Venture Capitalists Make Decisions?
Stanford University Graduate School of Business Research Paper No. 16-33, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 477/2016
Number of pages: 95
Posted: 29 Jun 2016
Last Revised: 10 May 2017
Working Paper Series
Paul A. Gompers, Will Gornall, Steven N. Kaplan and Ilya A. Strebulaev
Harvard Business School - Finance Unit, University of British Columbia (UBC) - Sauder School of Business, University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 15,252
22.
Market Risk Premium and Risk-Free Rate Used for 69 Countries in 2019: A Survey
Number of pages: 15
Posted: 18 Apr 2019
Last Revised: 26 May 2019
Working Paper Series
Pablo Fernandez, Mar Martinez and Isabel Fernández Acín
IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students
Downloads 15,000
23.
The Fundamentals of Commodity Futures Returns
Yale ICF Working Paper No. 07-08
Number of pages: 62
Posted: 28 Jun 2007
Last Revised: 07 Feb 2012
Working Paper Series
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
There are 2 versions of this paper
Downloads 14,514
24.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24
Posted: 07 Mar 2016
Last Revised: 09 Feb 2021
Working Paper Series
Michael Gayed
Lead-Lag Publishing, LLC
Downloads 14,067
25.
The Performance of Mutual Funds in the Period 1945-1964
Journal of Finance, Vol. 23, No. 2, pp. 389-416, 1967
Number of pages: 37
Posted: 31 Aug 2002
Accepted Paper Series
Michael C. Jensen
Harvard Business School
Downloads 13,955
26.
A Practitioner's Defense of Return Predictability
Number of pages: 37
Posted: 22 May 2019
Last Revised: 22 May 2019
Working Paper Series
Blair Hull and Xiao Qiao
Hull Investments LLC and School of Data Science, City University of Hong Kong
Downloads 13,908
27.
‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management
Number of pages: 29
Posted: 11 May 2011
Last Revised: 14 May 2011
Working Paper Series
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 13,802
28.
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 13,213
29.
IPO Underpricing: A Survey
HANDBOOK IN CORPORATE FINANCE: EMPIRICAL CORPORATE FINANCE, B. Espen Eckbo, ed., Forthcoming
Number of pages: 76
Posted: 27 Oct 2004
Accepted Paper Series
Alexander Ljungqvist
Stockholm School of Economics
Downloads 13,188
30.
The Long-Term Effects of Hedge Fund Activism
Harvard Law School John M. Olin Center Discussion Paper No. 802, Columbia Law Review, Vol. 115, 2015, pp. 1085-1156, Columbia Business School Research Paper No. 13-66
Number of pages: 77
Posted: 07 Aug 2013
Last Revised: 02 Jul 2015
Accepted Paper Series
Lucian A. Bebchuk, Alon Brav and Wei Jiang
Harvard Law School, Duke University - Fuqua School of Business and Columbia Business School - Finance and Economics
There are 2 versions of this paper
Downloads 12,818
31.
The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36
Posted: 24 Apr 2011
Last Revised: 07 May 2020
Accepted Paper Series
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 12,103
32.
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
There are 2 versions of this paper
Downloads 12,100
33.
The Profitability of Technical Analysis: A Review
AgMAS Project Research Report No. 2004-04
Number of pages: 106
Posted: 15 Oct 2004
Working Paper Series
Cheol-Ho Park and Scott H. Irwin
Chungbuk National University and University of Illinois at Urbana-Champaign
Downloads 11,818
34.
Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds
Number of pages: 34
Posted: 17 Nov 2008
Working Paper Series
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 11,743
35.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 11,600
36.
Three Quant Lessons from COVID-19 (Presentation Slides)
Number of pages: 19
Posted: 31 Mar 2020
Last Revised: 08 May 2020
Working Paper Series
Marcos Lopez de Prado and Alex Lipton
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 11,475
37.
Global Factor Premiums
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69
Posted: 06 Feb 2019
Last Revised: 08 Jan 2021
Accepted Paper Series
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 11,229
38.
The Cash Flow, Return and Risk Characteristics of Private Equity
NYU, Finance Working Paper No. 03-001
Number of pages: 43
Posted: 18 Mar 2003
Working Paper Series
Alexander Ljungqvist and Matthew P. Richardson
Stockholm School of Economics and New York University (NYU) - Department of Finance
There are 7 versions of this paper
Downloads 11,228
39.
Machine Learning for Trading
Number of pages: 19
Posted: 14 Aug 2017
Last Revised: 04 Dec 2017
Working Paper Series
Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 10,964
40.
The Cost of Active Investing
Number of pages: 50
Posted: 16 Mar 2008
Last Revised: 12 Apr 2008
Working Paper Series
Kenneth R. French
Dartmouth College - Tuck School of Business
Downloads 10,814
41.
Country Risk: Determinants, Measures and Implications – The 2017 Edition
Number of pages: 100
Posted: 18 Jul 2017
Working Paper Series
Aswath Damodaran
New York University - Stern School of Business
Downloads 10,544
42.
Does Academic Research Destroy Stock Return Predictability?
Journal of Finance, Forthcoming
Number of pages: 48
Posted: 04 Oct 2012
Last Revised: 24 Feb 2016
Accepted Paper Series
R. David McLean and Jeffrey Pontiff
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 10,455
43.
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Working Paper Series
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
Downloads 10,315
44.
Coronavirus: Impact on Stock Prices and Growth Expectations
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22
Number of pages: 34
Posted: 17 Mar 2020
Last Revised: 04 Aug 2020
Working Paper Series
Niels Joachim Gormsen and Ralph S. J. Koijen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 10,239
45.
Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors
Number of pages: 84
Posted: 02 Jan 2019
Last Revised: 05 Feb 2021
Working Paper Series
Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas and Lawrence Schmidt
University of Chicago - Booth School of Business, Inalytics Limited, University of Chicago - Booth School of Business and MIT Sloan School of Management
Downloads 10,115
46.
Buffett's Alpha
NBER Working Paper No. w19681
Number of pages: 46
Posted: 28 Nov 2013
Last Revised: 28 Nov 2013
Working Paper Series
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Downloads 9,940
47.
The Alpha Engine: Designing an Automated Trading Algorithm
High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29
Posted: 12 Apr 2017
Last Revised: 03 May 2017
Working Paper Series
Anton Golub, James Glattfelder and Richard B. Olsen
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 9,938
48.
The 10 Reasons Most Machine Learning Funds Fail
Journalof Portfolio Management, Forthcoming
Number of pages: 21
Posted: 18 Jan 2018
Last Revised: 01 Jul 2018
Accepted Paper Series
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 9,794
49.
Keynes the Stock Market Investor: A Quantitative Analysis
Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449
Number of pages: 54
Posted: 17 Mar 2012
Last Revised: 19 Mar 2016
Accepted Paper Series
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 9,781
50.
The Economics of Structured Finance
Harvard Business School Finance Working Paper No. 09-060
Number of pages: 37
Posted: 22 Oct 2008
Working Paper Series
Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 9,777
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